| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481601 | Physica A: Statistical Mechanics and its Applications | 2011 | 11 Pages |
Abstract
⺠The largest eigenvalue cannot indicate the market wide effect in high frequency data. ⺠Copula can be used to analyze the Epps effect. ⺠The sub-portfolio based on industry is not optimal in the market microstructure regime.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Min Jae Kim, Young Bin Kwak, Soo Yong Kim,